D-vine copula based quantile regression
DOI10.1016/j.csda.2016.12.009zbMath1466.62118arXiv1510.04161MaRDI QIDQ112600
Daniel Kraus, Claudia Czado, Claudia Czado, Daniel Kraus
Publication date: June 2017
Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.04161
quantile regression; conditional distribution; stress testing; conditional copula quantile; vine copula
62-08: Computational methods for problems pertaining to statistics
62G08: Nonparametric regression and quantile regression
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H05: Characterization and structure theory for multivariate probability distributions; copulas
Related Items
Uses Software
